Study On Function Of China Futures Market

In the new century, China from a planned economy to a market economy further deepen the reform of the transition, at the same time, with the acceleration of the process of globalization, China's accession to WTO, China's economy is undergoing profound changes. Futures markets as part of the financial markets, the development of the national economy has an important impact. Former Treasury Secretary in 2000 at the turn of the century the United States futures industry in a speech at the annual meeting: "In the United States the economic success over the past decade in the development of futures played a key role." In today's globalized world, as a major economic power that has gradually become an economic powerhouse in the development of China's futures market is essential. The United States won the Nobel Prize Miller, a famous economist once said: "The real market economy is not the lack of futures market economic system." The futures market is to improve market economic system in China an integral part, an important positive role.Based on the related research results at home and abroad, in this paper we study the China's Futures Markets which is in the background of economic transformation and globalization combining the quantitative and the qualitative research methods. Through the comparative study between the domestic and abroad futures markets, we analyze China's Futures Markets deeply from sevaral perspectives. The Granger-causality test, cointegration test, multiple GARCH, structure VAR, impulse response function, variance decomposition, and many other modern econometric methods are used in this paper.The main content of the article include: (1)We sort out various functions of the futures markets. The price discovery and hedging futures market is the two basic functions of the futures market and the development of an internal driving force, based on the two basic functions of the futures market derived a lot of other functions. Besides price discovery and hedging two basic functions, we also discuss the other functions including general risk management, reducing the macroeconomic volatility, consolidating financial status in region economy, improving economic openness and commodity pricing power. Especilly, with the globalization and internationalization of economy, the functions of futures markets, which are consolidating financial status in region economy, improving economic openness and commodity pricing power, are standing out in international finance and trade.(2)We compare differences of the building and development between the domestic and international futures markets from the system changes differences and gap of market during the building and development of the Futures Markets.China's futures market and the futures markets of developed countries development paths not identical. The futures markets of developed countries and the formation and development is bottom-up, from micro to the macro, first of all because the individual market hedging demand arising from; With the futures market participants increased, the size of the market and the expansion of futures prices is gradually emerging from the discovery of the role of spot prices, further period play a cargo market "invisible hand" function, reducing macroeconomic volatility. China's futures market and the formation and development are top-down, from macro to micro. Such a market is the development path: First of all this is due to the economic development of the market in order to reduce the macroeconomic volatility and level the price reform, the price rose too fast and produce; With the futures market participants increased, the size of the market and the expansion of futures prices is gradually emerging out of the spot price hedging maintaining and increasing the role. The international futures markets and the developed than China's futures market, there are many gaps.(3)We study the price discovery function on copper, aluminum, soybean, and wheat futures. Through the stability, long-term equilibrium relationship and short-term dynamic relationship between the future prices and spot prices, we quantitatively study on the price discovery functions of China's Futures Markets. The results showed that four varieties of futures price fluctuations that affect the spot price fluctuations first order Granger reason except wheat, the spot price volatility futures price volatility is not the first order Granger reasons. This shows that the price of the first order moments level, in the futures prices and spot prices in the interaction, mainly futures prices triggered spot prices, futures market prices can lead to the spot market, as the leading indicator for the market forecast, futures prices can be spot market pricing of goods become the benchmark, then played the role of price discovery. Futures markets so that people can forward market and the cash market linked. Moreover, four varieties futures prices and spot prices Granger each other second-order moment reasons, in general, the second-order moment in the level of prices, mainly futures prices on spot price fluctuations overflow.Clearly, after more than 10 years of exploration development of China's economy from a planned to market and the restructuring process, the operation of the market environment has improved significantly; the price discovery function has gradually become apparent.(4)We study the hedgeing function on copper, aluminum, soybean, and wheat futures. The results showed that four varieties futures have hedging function; metal futures hedging ratios and performance are superior to agricultural futures.Thus, investors in the futures market can be passed on transactions to achieve a certain proportion of hedging, avoiding price risks.China in the development of micro-economic mainstay, and the real economy has been closely linked to the futures market, the futures market in the development of China's economy plays an important role.(5)Through the research of the short-term causality and the shock reaction, we analyze dynamically the interrelatedness and influence between the domestic and international futures markets. The results show that, LME copper and aluminum are affected SHFE copper and aluminum Granger causes, SHFE copper and aluminum were not affected LME copper and aluminum Granger causes; The DCE CBOT soybean and soybean no significant between the Granger causality, ZCE wheat and CBOT wheat no significant between the Granger causality. In addition to soybeans, the spot price fluctuations than the futures price volatility Granger reasons. SVAR analysis of the impulse response of the international futures markets and the domestic futures market interest rates have on the new rapid response, the two futures markets have substantial efficiency; But the response of the international futures market significantly faster than the speed of the domestic futures market reaction speed. Variance decomposition analysis shows that the long term SHFE LME market relative to the domestic market spot price fluctuations more influential. LME futures market price fluctuations for the domestic spot prices in guiding the formation of a strong ability to SHFE market.Clearly, metals futures markets at home and abroad than the agricultural futures markets more closely linked, the international futures markets more efficient, the international metal futures market prices led the domestic metal futures market prices. From the "pricing power", the domestic futures market prices will not affect the international futures market prices, and the international futures market on domestic prices of the futures market exceeded 50% can be seen in China's futures market in the basic international pricing mechanisms no right to speak, the international market price domestic market price formation is the main factor there, "pricing power" crisis.(6) China's futures market in China's economic transition from a planned to market the process of the emergence and development, it has developed different with "Chinese characteristics", but gradually as China's market-oriented economy, China's economy is the gradual internationalization of China's economy in the future micro main, and the real economy the futures market will become more and more closely linked. Formed under the mandatory system changes the futures market will gradually give up the "visible hand" of dependence, the Chinese futures market will certainly have developed rapidly and fully integrated into the market economy, not only in the national economy will play a more prominent role, and re-occupy in the world market to position.The rapid growth in the domestic economy, and increasing domestic and international economic integration in the backdrop, while affirming the role of the futures market, we should be promptly corrected the deficiencies in the futures market, make up for shortcomings, the further development and improvement of China's futures market, China's futures market to play in the maximum its role. We need China's futures market from the function of market factors and international departure, to improve agricultural futures markets, and enhance the futures market opening, optimize market investors'structure, regulate trade regulations, innovations transactions varieties, and improve the government's control, such as ways and means of policy recommendations.